A month ago, Windows Live Messenger began blocking legitimate URLs from being transmitted to other users. As pointed out by Dharmesh Mehta, Windows Live Messenger product management lead, this process is actually handled outside of Microsoft, by a 3rd party (whom remains a mystery).
Today, I tried pasting an error message to a colleague of mine, Chris Holmes. No luck. The chat text would appear as if it was transmitted but no feedback was given in the UI. Poof. It was gone. Never touched the intertubes.
After a simple process of elimination, it was determined that having the string setup.exe anywhere within your message triggers the deletion behavior.
I am neither amused or surprised. I am, however, waiting for a reply to my inquiry regarding this issue. Psst Microsoft, this may help.